CAPTX vs. SIOAX

Last updated Jun 4, 2026

CAPTX (Canterbury Portfolio Thermostat Fund) and SIOAX (SEI Institutional Managed Trust Multi-Asset Income Fund) are both Tactical Allocation funds. Over the past 5 years, CAPTX returned 5.51%/yr vs 3.78%/yr for SIOAX. At a 0.50 correlation, their price movements are largely independent. CAPTX charges 1.98%/yr vs 0.80%/yr for SIOAX.

Performance

CAPTX vs. SIOAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Canterbury Portfolio Thermostat Fund (CAPTX) and SEI Institutional Managed Trust Multi-Asset Income Fund (SIOAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CAPTX achieves a 16.40% return, which is significantly higher than SIOAX's 2.69% return.

CAPTX

• 1D: 0.63%
• 1M: 5.46%
• YTD: 16.40%
• 6M: 18.40%
• 1Y: 29.63%
• 3Y*: 13.10%
• 5Y*: 5.51%
• 10Y*: —

SIOAX

• 1D: 0.10%
• 1M: 0.55%
• YTD: 2.69%
• 6M: 3.27%
• 1Y: 8.31%
• 3Y*: 9.22%
• 5Y*: 3.78%
• 10Y*: 5.04%

*Multi-year figures are annualized to reflect compound growth (CAGR)

CAPTX vs. SIOAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CAPTX Canterbury Portfolio Thermostat Fund	16.40%	12.68%	11.07%	0.63%	-11.80%	14.07%	-3.30%	14.16%	-7.98%	12.46%
SIOAX SEI Institutional Managed Trust Multi-Asset Income Fund	2.69%	10.08%	7.25%	11.09%	-13.13%	4.50%	5.33%	14.33%	-2.11%	6.57%

Correlation

The correlation between CAPTX and SIOAX is 0.58, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.58
Correlation (3Y) Calculated over the trailing 3-year period	0.45
Correlation (5Y) Calculated over the trailing 5-year period	0.48
Correlation (All Time) Calculated using the full available price history since Jan 4, 2017	0.50

The correlation between CAPTX and SIOAX shifts across timeframes, from 0.45 (3 years) to 0.58 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

CAPTX vs. SIOAX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CAPTX

CAPTX Risk / Return Rank: 82
CAPTX Sharpe Ratio Rank: 84
CAPTX Sortino Ratio Rank: 81
CAPTX Omega Ratio Rank: 77
CAPTX Calmar Ratio Rank: 82
CAPTX Martin Ratio Rank: 87

SIOAX

SIOAX Risk / Return Rank: 88
SIOAX Sharpe Ratio Rank: 94
SIOAX Sortino Ratio Rank: 95
SIOAX Omega Ratio Rank: 93
SIOAX Calmar Ratio Rank: 78
SIOAX Martin Ratio Rank: 80

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

CAPTX vs. SIOAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Canterbury Portfolio Thermostat Fund (CAPTX) and SEI Institutional Managed Trust Multi-Asset Income Fund (SIOAX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

	CAPTX	SIOAX	Difference
Sharpe ratio: Return per unit of total volatility	2.74	3.23	-0.49
Sortino ratio: Return per unit of downside risk	3.88	5.06	-1.18
Omega ratio: Gain probability vs. loss probability	1.51	1.70	-0.20
Calmar ratio: Return relative to maximum drawdown	3.81	3.56	+0.25
Martin ratio: Return relative to average drawdown	16.73	15.01	+1.72
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CAPTX vs. SIOAX - Sharpe Ratio Comparison

The current CAPTX Sharpe Ratio is 2.74, which is comparable to the SIOAX Sharpe Ratio of 3.23. The chart below compares the historical Sharpe Ratios of CAPTX and SIOAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	CAPTX	SIOAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.74	3.23	-0.49
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.57	0.83	-0.26
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	1.00	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.49	1.09	-0.60

Drawdowns

CAPTX vs. SIOAX - Drawdown Comparison

The maximum CAPTX drawdown since its inception was -28.25%, which is greater than SIOAX's maximum drawdown of -22.10%. Use the drawdown chart below to compare losses from any high point for CAPTX and SIOAX.

Drawdown Indicators

	CAPTX	SIOAX	Difference
Max Drawdown Largest peak-to-trough decline	-28.25%	-22.10%	-6.15%
Max Drawdown (1Y) Largest decline over 1 year	-7.81%	-2.34%	-5.47%
Max Drawdown (3Y) Largest decline over 3 years	-11.27%	-4.24%	-7.03%
Max Drawdown (5Y) Largest decline over 5 years	-15.88%	-17.57%	+1.69%
Max Drawdown (10Y) Largest decline over 10 years	—	-22.10%	—
Current Drawdown Current decline from peak	0.00%	-0.03%	+0.03%
Average Drawdown Average peak-to-trough decline	-5.45%	-2.33%	-3.12%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.78%	0.55%	+1.23%

Volatility

CAPTX vs. SIOAX - Volatility Comparison

Canterbury Portfolio Thermostat Fund (CAPTX) has a higher volatility of 3.47% compared to SEI Institutional Managed Trust Multi-Asset Income Fund (SIOAX) at 0.71%. This indicates that CAPTX's price experiences larger fluctuations and is considered to be riskier than SIOAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CAPTX	SIOAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.47%	0.71%	+2.76%
Volatility (6M) Calculated over the trailing 6-month period	8.79%	2.04%	+6.75%
Volatility (1Y) Calculated over the trailing 1-year period	10.85%	2.58%	+8.27%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.77%	4.57%	+5.20%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.69%	5.08%	+6.61%

CAPTX vs. SIOAX - Expense Ratio Comparison

CAPTX has a 1.98% expense ratio, which is higher than SIOAX's 0.80% expense ratio.

Dividends

CAPTX vs. SIOAX - Dividend Comparison

CAPTX has not paid dividends to shareholders, while SIOAX's dividend yield for the trailing twelve months is around 5.51%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CAPTX Canterbury Portfolio Thermostat Fund	0.00%	0.00%	0.00%	0.63%	0.00%	13.02%	0.15%	1.21%	1.35%	0.99%	0.00%	0.00%
SIOAX SEI Institutional Managed Trust Multi-Asset Income Fund	5.51%	5.37%	6.08%	6.49%	6.11%	3.87%	3.05%	4.43%	3.29%	4.31%	4.27%	6.30%

Frequently Asked Questions

Can I hold both CAPTX and SIOAX in my portfolio?

CAPTX and SIOAX have a correlation of 0.58, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CAPTX or SIOAX?

CAPTX has higher volatility (3.47%) compared to SIOAX (0.71%). In terms of maximum drawdown, CAPTX dropped -28.25% vs SIOAX's -22.10%.

Which has better risk-adjusted returns?

SIOAX currently has the higher Sharpe Ratio (3.23 vs 2.74), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.